Mutual Fund Selection for Realistically Short Samples

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

Original languageEnglish
JournalJournal of Empirical Finance
Volume55
IssueJanuary
Pages (from-to)218-240
Number of pages23
ISSN0927-5398
DOIs
Publication statusPublished - Jan 2020

    Research areas

  • Fund selection, Mutual funds, Simulation, Small sample properties

See relations at Aarhus University Citationformats

ID: 173643235